Class SobolSequenceGenerator

  • All Implemented Interfaces:
    RandomVectorGenerator

    public class SobolSequenceGenerator
    extends java.lang.Object
    implements RandomVectorGenerator
    Implementation of a Sobol sequence.

    A Sobol sequence is a low-discrepancy sequence with the property that for all values of N, its subsequence (x1, ... xN) has a low discrepancy. It can be used to generate pseudo-random points in a space S, which are equi-distributed.

    The implementation already comes with support for up to 1000 dimensions with direction numbers calculated from Stephen Joe and Frances Kuo.

    The generator supports two modes:

    Since:
    3.3
    See Also:
    Sobol sequence (Wikipedia), Sobol sequence direction numbers
    • Constructor Summary

      Constructors 
      Constructor Description
      SobolSequenceGenerator​(int dimension)
      Construct a new Sobol sequence generator for the given space dimension.
      SobolSequenceGenerator​(int dimension, java.io.InputStream is)
      Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.
    • Method Summary

      All Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      int getNextIndex()
      Returns the index i of the next point in the Sobol sequence that will be returned by calling nextVector().
      double[] nextVector()
      Generate a random vector.
      double[] skipTo​(int index)
      Skip to the i-th point in the Sobol sequence.
      • Methods inherited from class java.lang.Object

        clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
    • Constructor Detail

      • SobolSequenceGenerator

        public SobolSequenceGenerator​(int dimension)
                               throws OutOfRangeException
        Construct a new Sobol sequence generator for the given space dimension.
        Parameters:
        dimension - the space dimension
        Throws:
        OutOfRangeException - if the space dimension is outside the allowed range of [1, 1000]
      • SobolSequenceGenerator

        public SobolSequenceGenerator​(int dimension,
                                      java.io.InputStream is)
                               throws NotStrictlyPositiveException,
                                      MathParseException,
                                      java.io.IOException
        Construct a new Sobol sequence generator for the given space dimension with direction vectors loaded from the given stream.

        The expected format is identical to the files available from Stephen Joe and Frances Kuo. The first line will be ignored as it is assumed to contain only the column headers. The columns are:

        • d: the dimension
        • s: the degree of the primitive polynomial
        • a: the number representing the coefficients
        • m: the list of initial direction numbers
        Example:
         d       s       a       m_i
         2       1       0       1
         3       2       1       1 3
         

        The input stream must be an ASCII text containing one valid direction vector per line.

        Parameters:
        dimension - the space dimension
        is - the stream to read the direction vectors from
        Throws:
        NotStrictlyPositiveException - if the space dimension is < 1
        OutOfRangeException - if the space dimension is outside the range [1, max], where max refers to the maximum dimension found in the input stream
        MathParseException - if the content in the stream could not be parsed successfully
        java.io.IOException - if an error occurs while reading from the input stream
    • Method Detail

      • nextVector

        public double[] nextVector()
        Generate a random vector.
        Specified by:
        nextVector in interface RandomVectorGenerator
        Returns:
        a random vector as an array of double.
      • skipTo

        public double[] skipTo​(int index)
                        throws NotPositiveException
        Skip to the i-th point in the Sobol sequence.

        This operation can be performed in O(1).

        Parameters:
        index - the index in the sequence to skip to
        Returns:
        the i-th point in the Sobol sequence
        Throws:
        NotPositiveException - if index < 0
      • getNextIndex

        public int getNextIndex()
        Returns the index i of the next point in the Sobol sequence that will be returned by calling nextVector().
        Returns:
        the index of the next point